fun_TSMOM_v2: fun_TSMOM_v2

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

Calculated time series momentum strategy from p. 236 and return Sharpe ratio

Usage

fun_TSMOM_v2(list = listExcess[["months"]], period = c("minutes",
  "hours", "days", "weeks", "months", "quarters", "years"), lag = 6,
  proAnnuVol = 0.4, Rf = 0, annu = 250)

Arguments

list	List of periodic data
period	character vector Period of rebalance
lag	int Number of lags
proAnnuVol	int: Procent one scale the inverse of the volatility with
Rf	double scalar or vector: Risk free rate
annu	int used to annualize data

Value

A list

name outList	description List with TSMOM for each crypto
name Sharpe	description Table of Sharpe ratios
name Sharpe_tidy	description Sharpe ratios given in tidy form
name SharpeCum_tidy	description Sharpe ratios cumulated given in tidy form

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.